Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

DOI10.1111/J.1467-9892.2007.00558.XMaRDI QIDQ3608200zbMATH OpenOpenAlexFDO

Authors Carsten Trenkler, Pentti Saikkonen, Helmut Lütkepohl

Publication date 28 February 2009

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1814/6306

zbMATH Keywords

error correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Recommendations

• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Testing for the cointegrating rank of a VAR process with a time trend
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Cites work

• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Applied Time Series Econometrics
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process

Cited in

(11)

• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Testing for the cointegration rank when some cointegrating directions are changing
• Johansen‐type cointegration tests with a Fourier function
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• The cointegrated vector autoregressive model with general deterministic terms
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Testing for the cointegrating rank of a VAR process with a time trend

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Uses Software

• JMulTi

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